房价非线性回归模型及期权定价

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冯敬海,朱骏桥.房价非线性回归模型及期权定价[J].,2017,57(5):545-550

房价非线性回归模型及期权定价

Nonlinear regression model and option analysis of real estate price

DOI：10.7511/dllgxb201705016

中文关键词:实物期权房价模型随机微分方程

英文关键词:real option real estate price model stochastic differential equation\@

基金项目:国家自然科学基金资助项目(1137107711571058)；中央高校基本科研业务费专项资金资助项目(DUT15LK19).

作者	单位
冯敬海,朱骏桥

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中文摘要:

从宏微观经济学的角度出发，依照国家统计局网站的数据选取多个可能影响房地产价格的变量建立了全国房地产平均价格模型．运用R语言对数据进行了多元线性回归分析、多元非线性回归分析、相关性分析、多重共线性分析、岭回归分析等统计分析，得出房价的线性与非线性多个模型并进行了比较．结合随机微分方程、实物期权等相关金融数学知识进行了房价模型的理论推导与实际估计，并对房价期权进行了定价．利用Matlab对模型进行了大量的模拟并得到较好结果．

英文摘要:

Based on macro-micro economics, a national average real estate price model is established by selecting several variables which may affect real estate price according to the data of National Bureau of Statistics website. By using R language, multiple linear regression analysis, multiple nonlinear regression analysis, correlation analysis, multicollinearity analysis, ridge regression analysis are used, and a number of linear and nonlinear models are obtained and compared with each other. Combined with the stochastic differential equation and real option, and some relevant knowledge of financial mathematics, the theoretical deduction, practical estimate of real estate model and pricing of real estate price option are carried out. A lot of simulations are carried out by using Matlab to get a good result.

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房价非线性回归模型及期权定价

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